The morphing of fluid queues into Markov-modulated Brownian motion
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Publication:3466704
DOI10.1214/13-SSY133zbMath1336.60151arXiv1311.3359MaRDI QIDQ3466704
Publication date: 25 January 2016
Full work available at URL: https://arxiv.org/abs/1311.3359
weak convergencecomputational methodsstationary distributionMarkov-modulated Brownian motionMarkov-modulated linear fluid models
Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17)
Related Items (11)
Rate of strong convergence to Markov-modulated Brownian motion ⋮ Markov-modulated Brownian motions perturbed by catastrophes ⋮ Strong convergence to two-dimensional alternating Brownian motion processes ⋮ Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models ⋮ An explicit solution to the Skorokhod embedding problem for double exponential increments ⋮ A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion ⋮ Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution ⋮ Markov-modulated Brownian motion with temporary change of regime at level zero ⋮ Slowing time: Markov-modulated Brownian motions with a sticky boundary ⋮ Ruin problems for epidemic insurance ⋮ Fluid approach to two-sided reflected Markov-modulated Brownian motion
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